Advertisement

Autocorrelated Shock: White Noise Exogenous Variables. II

  • Agustin Maravall
  • Klaus Neumann
  • Ulrich Steinhardt
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 165)

Abstract

Let the shock ut be the outcome of a stochastic process with an auto-correlation function that combines the two previous cases. We shall assume that ut follows in general an Autoregressive-Moving Average process of orders r and s, respectively [ARMA(r, s)], given by
$${R_r}\left( L \right){u_t} = {S_s}\left( L \right){a_t}.$$
(4.1)

Keywords

Shock Process Covariance Equation Average Polynomial Laplace Expansion Pure Moving Average 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 1979

Authors and Affiliations

  • Agustin Maravall
  • Klaus Neumann
    • 1
  • Ulrich Steinhardt
    • 2
  1. 1.Institut für Wirtschaftstheorie und Operations ResearchUniversität KarlsruheKarlsruheGermany
  2. 2.Bonn 3Germany

Personalised recommendations